Delete the startup Blender cube by typing X. Type Shift-A to bring up a pop-up menu of objects you can add. Choose Curve > Path. Type numpad 7 to go to a top view, and tab into edit mode. Note that you can edit the path by selecting its control points. You can also extend the path by selecting an endpoint and typing E, or extrude. Left-click to end the extrusion.

Tab back into Object mode. Type Shift-A to bring up the Add menu aagain, and this time choose Curve > Circle. Move the circle anywhere you wish, and type S to scale it.

Select the path, and select its curve properties tab. In the drop-down labeled Bevel Object, choose Bezier Circle. The circle cross-section will now be swept along the path.

Curve Tab

Bevel Object

The path and the cross section remain editable. Change the shape of the cross-section in Edit mode, or change the direction of the path.